Summarizing Cochrane-Orcutt Fits
summary method for class "orcutt".
## S3 method for class 'orcutt' summary(object, ...)
object |
an object of class "orcutt", usually, a result of a call to cochrane.orcutt. |
... |
further arguments passed to or from other methods. |
The function summary.orcutt computes and returns a list of summary statistics of the fitted Cochrane-Orcutt
coefficients |
a p x 4 matrix with columns for the estimated coefficient, its standard error, t-statistic and corresponding (two-sided) p-value. Aliased coefficients are omitted. |
fstatistic |
value of F statistic. |
df |
degrees of freedom of F statistic. |
r.squared |
R^2, the fraction of variance explained by the model. |
adj.r.squared |
the above R^2 statistic adjusted, penalizing for higher p. |
DW.t |
a 4-vector contained the Durbin-Watson statistic and the p-value for the original "lm" model, and the Durbin-Watson statistic and the p-value for the original "orcutt" model . |
Stefano Spada
Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd
##-- Continuing the cochrane.orcutt(.) example: summary(coch)
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